Volatility - Core Concepts

New York Institute of Finance

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17

Volatility - Core Concepts

Understand risk management figures used for options and the goals and objectives of a volatility trader - differentiating between the long and the short volatility trader, and discussing the hedging policies of each.

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Module 1: Core Concepts: Volatility Explained & Options Strategies

  • Volatility
  • Types of volatility defined

Module 2: Option Pricing

  • What the Options Premium is telling us
  • An overview of the Option Pricing Models
  • Put-Call Parity
  • Strategy Review & Synthetic Positions

Module 1: Core Concepts: Risk Management & Volatility Trading Overview

  • The Greeks
  • Changes over Time & Price
  • Changes in the stock price (delta)
  • Changes in the delta (gamma)
  • Changes in time to maturity (theta)
  • Changes in volatility (vega)
  • Changes in interest rates (rho)

Module 2: Volatility Trading (Examples)

  • Gamma Scalping Example: Remaining delta neutral
  • Volatility Trade Examples
  • Trading The Skew: Other Ways to Hedge

Module 1: Advances Concepts: Analytics & Volatility Studies

  • Historical Volatility
  • Calculating & Interpreting Historical Volatility
  • Other Measures of Historical Volatility
  • Range Volatility, Overnight Volatility
  • Measuring Normal versus Real Distribution

Module 2: Implied Volatility Surface

  • Volatility Skew
  • Tracking Skew
  • Tendencies, Seasonality, Etc.
  • Term Structure of Implied Volatility: Sticky Strike, Sticky Delta
  • Volatility Studies
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Volatility - Core Concepts

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